Jozef Baruník

Charles University in Prague - Department of Economics

Associate Professor

Opletalova 26

Prague 1, 110 00

Czech Republic

http://ies.fsv.cuni.cz/en/staff/barunik

Institute of Information Theory and Automation, Prague

Research Fellow

Pod vodarenskou vezi 4

CZ-18208 Praha 8

Czech Republic

http://staff.utia.cas.cz/barunik/home.htm

SCHOLARLY PAPERS

28

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2,764

SSRN CITATIONS
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Top 17,517

in Total Papers Citations

14

CROSSREF CITATIONS

32

Scholarly Papers (28)

1.

Gold, Oil, and Stocks

Number of pages: 27 Posted: 02 Aug 2013 Last Revised: 10 May 2014
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 282 (108,612)
Citation 4

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

2.

Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables

Number of pages: 53 Posted: 24 Oct 2015 Last Revised: 30 Dec 2018
Jozef Baruník and Tobias Kley
Charles University in Prague - Department of Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 176 (171,917)
Citation 3

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Cross-spectral analysis, Ranks, Copula, Stock market, Risk

3.

Asymmetric Connectedness of Stocks: How Does Bad and Good Volatility Spill over the U.S. Stock Market?

Journal of Financial Markets, Vol. 26, 2016
Number of pages: 36 Posted: 06 Aug 2013 Last Revised: 29 Oct 2018
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 176 (171,917)
Citation 4

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Volatility, Spillovers, Semivariance, Asymmetric effects, Financial markets

4.

Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Journal of Financial Econometrics, 2016, Vol. 14, No. 1, 185--226
Number of pages: 49 Posted: 20 Aug 2013 Last Revised: 15 Oct 2017
Filip Zikes and Jozef Baruník
Imperial College London and Charles University in Prague - Department of Economics
Downloads 167 (180,012)
Citation 4

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conditional quantiles, Value-at-Risk, quantile regression, realized measures

5.

Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility

Number of pages: 34 Posted: 27 Apr 2014
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 161 (185,671)
Citation 3

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artificial neural networks, realized volatility, multiple-step-ahead forecasts, energy markets

6.

Volatility Spillovers Across Petroleum Markets

William Davidson Institute Working Paper No. 1093
Number of pages: 29 Posted: 29 Apr 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Charles University in Prague
Downloads 150 (197,051)
Citation 11

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volatility spillovers, asymmetry, petroleum markets

7.

Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks

Number of pages: 26 Posted: 20 Apr 2015
Jozef Baruník and Barbora Malinská
Charles University in Prague - Department of Economics and Charles University in Prague - Faculty of Social Sciences
Downloads 143 (204,879)
Citation 1

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term structure, Nelson-Siegel model, dynamic neural networks, crude oil futures

8.

Gold, Oil, and Stocks: Dynamic Correlations

CESifo Working Paper Series No. 5333
Number of pages: 28 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 129 (222,546)

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

9.

Modeling and Forecasting Exchange Rate Volatility in Time-Frequency Domain

Number of pages: 33 Posted: 31 May 2012 Last Revised: 04 Feb 2015
Jozef Baruník, Tomas Krehlik and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 125 (227,902)

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wavelet decomposition, jumps, volatility forecasting, Realized GARCH

10.

Are Benefits from Oil - Stocks Diversification Gone? New Evidence from a Dynamic Copula and High Frequency Data

Number of pages: 35 Posted: 23 Jul 2013 Last Revised: 11 Feb 2015
Krenar Avdulaj and Jozef Baruník
Charles University in Prague - Department of Economics and Charles University in Prague - Department of Economics
Downloads 124 (229,328)
Citation 1

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portfolio diversification, dynamic correlations, high frequency data time-varying copulas, commodities

11.

Do co-jumps impact correlations in currency markets?

Journal of Financial Markets, Forthcoming
Number of pages: 44 Posted: 18 Feb 2016 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 119 (236,463)

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co-jumps, currency markets, realized covariance, wavelets, bootstrap

12.

Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers

CESifo Working Paper Series No. 5305
Number of pages: 30 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 117 (239,413)
Citation 3

Abstract:

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volatility, spillovers, semivariance, asymmetric effects, financial markets

13.

Modeling and Forecasting Persistent Financial Durations

Econometric Reviews, 36:10, 1081-1110, 2017
Number of pages: 49 Posted: 15 Jul 2012 Last Revised: 15 Oct 2017
Filip Zikes, Jozef Baruník and Nikhil Shenai
Imperial College London, Charles University in Prague - Department of Economics and Imperial College London
Downloads 116 (240,945)
Citation 3

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price durations, long memory, multifractal models, realized volatility, Whittle estimation

14.

Asymmetric Volatility Connectedness on Forex Markets

Journal of International Money and Finance, Vol. 77C, 2017
Number of pages: 39 Posted: 28 Jul 2016 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 94 (278,293)
Citation 2

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volatility, connectedness, spillovers, semivariance, asymmetric effects, forex markets

15.

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This is a pre-print of an article published in the Journal of Economic Dynamics and Control (2017). The final authenticated version is available online at DOI: 10.1016/j.jedc.2017.09.006
Number of pages: 38 Posted: 26 May 2016 Last Revised: 29 Oct 2018
Jiri Kukacka and Jozef Baruník
Charles University - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 87 (292,357)
Citation 4

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heterogeneous agent model, simulated maximum likelihood, estimation, intensity of choice, switching

16.

Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise

Quantitative Finance (2015) Vol. 15, No. 8, 1347-1364
Number of pages: 28 Posted: 08 Apr 2012 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 82 (303,207)
Citation 4

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quadratic variation, realized variance, jumps, market microstructure noise, wavelets

17.

Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns

Number of pages: 37 Posted: 30 Aug 2017
Frantisek Cech and Jozef Baruník
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 66 (342,556)

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Panel Quantile Regression, Realized Measures, Value–at–Risk

18.

How Does Bad and Good Volatility Spill Over Across Petroleum Markets?

The Energy Journal, 36(3), 309-329, 2015
Number of pages: 22 Posted: 12 May 2014 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 61 (356,686)

Abstract:

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volatility spillovers, asymmetry, petroleum markets

19.

Asymmetric Connectedness of Fears in the U.S. Financial Sector

Number of pages: 39 Posted: 20 Nov 2018
Jozef Baruník, Mattia Bevilacqua and Radu Tunaru
Charles University in Prague - Department of Economics, Systemic Risk Centre - London School of Economics and University of Kent - Kent Business School
Downloads 58 (365,623)

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Implied Volatility, Asymmetric Connectedness, U.S. Financial Sector

20.

Realizing Stock Market Crashes: Stochastic Cusp Catastrophe Model of Returns under the Time-Varying Volatility

This is a pre-print of an article published in Quantitative Finance (2015). The final authenticated version is available online at DOI: 10.1080/14697688.2014.950319
Number of pages: 23 Posted: 28 Feb 2013 Last Revised: 16 Mar 2018
Jozef Baruník and Jiri Kukacka
Charles University in Prague - Department of Economics and Charles University - Institute of Economic Studies
Downloads 56 (371,995)
Citation 1

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stochastic cusp catastrophe model, realized volatility, bifurcations, stock market crash

21.

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Number of pages: 32 Posted: 24 Aug 2012 Last Revised: 18 Feb 2013
Jozef Baruník and Michaela Barunikova
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic
Downloads 56 (371,995)
Citation 1

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wavelet band spectrum regression, corridor implied volatility, realized volatility, fractional cointegration

22.

Tail Risks, Asset Prices, and Investment Horizons

Number of pages: 33 Posted: 30 Jun 2018
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 48 (398,402)

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Asset Pricing, Downside Risk, Frequency-Specific Risk, Tail Risk

23.

Cyclical Properties of Supply-Side and Demand-Side Shocks in Oil-Based Commodity Markets

Energy Economics, Vol. 65, 2017
Number of pages: 22 Posted: 23 Mar 2016 Last Revised: 15 Oct 2017
Tomas Krehlik and Jozef Baruník
Charles University in Prague and Charles University in Prague - Department of Economics
Downloads 40 (427,833)
Citation 1

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24.

Forecasting Dynamic Return Distributions Based on Ordered Binary Choice

Number of pages: 30 Posted: 17 Nov 2017 Last Revised: 09 Jan 2019
Stanislav Anatolyev and Jozef Baruník
New Economic School and Charles University in Prague - Department of Economics
Downloads 36 (444,321)

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asset returns, predictive distribution, conditional probability, probability forecasting, ordered binary choice

25.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Jozef Baruník, Cathy Yi‐Hsuan Chen and Jan Vecer
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 35 (448,547)

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High frequency text, Sentiment, Stochastic volatility, Continuous time models

26.

Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

CESifo Working Paper No. 7756
Number of pages: 38 Posted: 30 Jul 2019
Jozef Baruník and Evžen Kočenda
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 34 (457,292)

Abstract:

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crude oil, forex market, volatility, connectedness, spillovers, semivariance, asymmetric effects, frequency connectedness

27.

Co-jumping of Treasury Yield Curve Rates

Number of pages: 37 Posted: 10 Jun 2019
Jozef Baruník and Pavel Fiser
Charles University in Prague - Department of Economics and Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Students
Downloads 26 (491,874)

Abstract:

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Co-jumps, Yield curve, Wavelets, High frequency data

28.

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk

Journal of Financial Econometrics, Volume 16, Issue 2, 2018
Posted: 08 Jul 2015 Last Revised: 30 Dec 2018
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 0 (674,275)

Abstract:

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Connectedness, frequency, spectral analysis, market risk, business cycles